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dognmnm · 2023年03月03日

Purchase a payer option on the CDX

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000025

问题如下：

Which of the following credit portfolio positioning strategies is the most appropriate to underweight the financial sector versus an index?

选项：

A.

Purchase protection on the CDX and sell protection on the CDX Financials subindex.

B.

Sell protection on the CDX and purchase protection on the CDX Financials subindex.

C.

Purchase a payer option on the CDX and sell protection on the CDX Financials subindex.

解释：

B is correct. Selling protection on the CDX index is a “long” credit spread risk position, while purchasing protection on the CDX Financials subindex is a “short” credit spread risk position, leaving the investor with a long index position without exposure to financial reference entities in the CDX index. Both A and C increase exposure to financial sector issuers.

Purchase a payer option on the CDX 跟Purchase protection on the CDX 是一个意思吗?

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2 个答案

pzqa015 · 2023年05月05日

嗨，努力学习的PZer你好：


buy CDS protection on CDS INDEX就是buy protection on the CDX


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa015 · 2023年03月04日

嗨，爱思考的PZer你好：


没有purchase a payer option on the CDX这种说法。

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加油吧，让我们一起遇见更好的自己！

小呀小田螺 · 2023年05月05日

为啥说没有这个说法呢？讲义里面不是有Payer option on CDS INDEX嘛？老师说就是有权买一个buy CDS protection on CDS INDEX

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